Type in the following command all on one line (where CD drive is the drive letter of your DVD drive):
Open a Command Prompt window by typing Windows-R, then typing 'cmd' and pressing ENTER. (Note: These instructions are for 'Warhammer 40,000: Dawn of War: Platinum Edition' and 'Warhammer 40,000: Dawn of War: Game of the Year Edition.' Modify as appropriate for the version you are trying to install.)